How to generate optimized portfolios for non-standard objective functions

What is it about?

Optimizing financial portfolios for non-standard objective functions and under contraints is a complex task. The paper introduces the use of optimization heuristics for this objective. These methods require more computational resources, but are still delivering results when classical methods fail.

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Why is it important?

With the growth of computational resources, methods like the ones described in this paper became more and more commonly used. The paper is relevant as it introduced these methods for the first time in the domain of finance.